The Scientific World Journal / 2014 / Article / Tab 3

Research Article

Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns

Table 3

Results for Ljung-Box and ARCH-LM tests.

CommodityVariables ARCH(6)ARCH(12)

Series 137.4260 47.8960 48.1930 57.5900 7.4251 4.3999
(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)
Series 237.7920 47.9380 48.2280 57.8320 7.4365 4.4098
(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)

Series 149.2860 49.7660 50.2800 58.3290 7.0381 4.4487
(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)
Series 248.7730 49.2380 49.7220 57.6940 6.9851 4.4071
(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)(0.0000***)

Series 19.4883 22.1670 29.4190 33.8710 3.1697 2.1361
(0.0230**)(0.0010***)(0.0010***)(0.0010***)(0.0043***)(0.0129**)
Series 29.5893 22.1060 29.3000 33.7370 3.1614 2.1273
(0.0220**)(0.0010***)(0.0010***)(0.0010***)(0.0044***)(0.0133**)

Series 11.2064 13.6810 22.5980 28.2530 2.3223 2.1579
(0.7510)(0.0330**)(0.0070***)(0.0050***)(0.0311**)(0.0118**)
Series 21.2168 13.4810 22.4570 28.1050 2.2882 2.1480
(0.7490)(0.0360**)(0.0080***)(0.0050***)(0.0336**)(0.0123**)